In Audacity: after you import the files simply click on the 'time shift tool' in the tool bar. It's the double sided arrow pointing left and right (looks like the 'horizontal rule' button shown above when typing a response here on TS, under the 'change color' drop down menu). Or, when first in audacity you can just press the 'a' key twice on your keyboard to get there.
Then simply click and drag the second file to the end of the first. They should snap together.
On my edition (2.0.2 for mac, I believe the most recent), a black line will still separate the files.
So, switch back to the 'selection tool' (the 'I' button in the same little group as the 'time shift tool' you're currently using, looks like the blinking line indicator from microsoft word. Or by pressing the 'd' key twice on your keyboard.) and simply click on the line separating the files. It should disappear and the files will now be one.